After a few minutes after your training session has started, you'll get a message that you should proceed on the surface - heading 0 (that's where your bow is pointing anyway, if you haven't touched the rudder) - untill further notice.
These messages can be found in your Radio Messages Log, M-key.
Your sub is the small black dot...to centre your map on your sub, zoom-in and hit Ctrl+Lclick.
The flag is indeed the location you need to head for....around that island.
You will get more orders through your radio, so pay attention to the log.
On your HUD - bottom-right side - is an indicator just above the 2 timecompression buttons...this will blink, when you have received a radiomessage.
When you're not on timecompression, you will also hear a voice announcing this event.
Hope this helps, goodluck.
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